High-dimensional covariance estimation
"Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of…
Read More ↓Title Statements
- Full title :High-dimensional covariance estimation / Mohsen Pourahmadi.
Summary
"Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning. Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing with large correlated datasets. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management. The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and algorithms for the task."--Publisher's website.
Read More ↓Edition Statements
- Publication Date:Ü2013.
Publication Statements
- Publisher(s):Wiley
- Place of Publication:Hoboken, NJ
- Language:eng
- Publication Date:Ü2013.
The Physical Object
- Description:Online Ressource (x, 184 Seiten) : : Illustrationen.
Edition Identifiers
- ISBN:9781118573617, 1118573617, 9781118573655, 111857365X, 9781118573662, 1118573668, 1118034295, 9781118034293
- oclc:on1039166332
- LC Classification:QA279
- Dewey Decimal:519.538
Subjects
Writers
No reviews yet. Be the first to rate this work.
Related Works
more →
Total skiing
Intermediate Dutch: a grammar and workbook
Transition redesigned: a practical philosophy perspective
Curriculum and instruction
Guidelines for auditing process safety management systems
Recreating Japanese men
Heidegger and language
Files & Downloads
-
High-Dimensional Covariance Estimation: With High…
PDF · 5.9 MB · updated
Rate & Review